Annex VII - Reports on Foreign Currency- Rupee

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Annex VII
(See paragraph A 6(c) of the Master Circular on Risk Management and Inter-bank Dealings dated July 2, 2007)
Reports on Foreign Currency- Rupee Options :
[For the week ended__________________]
I. Option Transaction Report Sr. no Trade date Client/
C-party Name Notional Option Call/ Put Strike Maturity Premium Purpose* *Mention balance sheet, trading or client related.
II. Option Positions Report Notional Currency Pair Outstanding calls puts Net Portfolio Delta Net Portfolio Gamma Net Portfolio Vega USD-INR USD USD USD EUR-INR EUR EUR EUR JPY-INR JPY JPY JPY (Similarly for other currency pairs) Total Net Open Options Position (INR): The total net open options position can be arrived using the methodology prescribed in A. P. (DIR Series) Circular No. 92 dated April 4, 2003.
III. Change in Portfolio Delta Report Change in USD-INR delta for a 0.25% change in spot ($-appreciation) in INR terms = Change in USD-INR delta for a 0.25% change in spot ($-depreciation) in INR terms = Similarly, Change in delta for a 0.25% change in spot (FCY appreciation & depreciation separately) in INR terms for other currency pairs, such as EUR-INR, JPY-INR etc.
IV. Strike Concentration Report
Maturity Buckets Strike Price 1 week 2 weeks 1 month 2 months 3 months > 3 months This report should be prepared for a range of 150 paise around current spot level. Cumulative positions to be given. All amounts in USD million. When the bank owns an option, the amount should be shown as positive. When the bank has sold an option, the amount should be shown as negative. All reports may be sent via e-mail by market-makers to fedcofmd@rbi.org.in. Reports may be prepared as of every Friday and sent by the following Monday.

 

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